Default risk model for municipal bonds based on implied distribution and option evaluation

Liyan Han; Zhebin Yang; Chengli Zheng

Default risk model for municipal bonds based on implied distribution and option evaluation

Liyan Han^*
, Zhebin Yang
, Chengli Zheng

^*Corresponding author for this work

School of Economics and Management

Beihang University

Research output: Contribution to journal › Article › peer-review

Abstract

It is the key issue of the feasibility research for municipal bonds to determine the safe issue-volume according to a given credit-risk level. With the reference to KMV model, this paper develops a option-based credit risk model for municipal bonds, in which the concept of the implied distribution and its algorithm is introduced. Moreover, it concludes the correspondence between the issue-volume and the default risk given the certain amount of the fiscal revenue used as the collateral.

Original language	English
Pages (from-to)	207-211
Number of pages	5
Journal	Yingyong Jichu yu Gongcheng Kexue Xuebao/Journal of Basic Science and Engineering
Issue number	SUPPL.
State	Published - Dec 2004

Keywords

Credit risk
Implied distribution
Issue-volume
Municipal bond

Cite this

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title = "Default risk model for municipal bonds based on implied distribution and option evaluation",

abstract = "It is the key issue of the feasibility research for municipal bonds to determine the safe issue-volume according to a given credit-risk level. With the reference to KMV model, this paper develops a option-based credit risk model for municipal bonds, in which the concept of the implied distribution and its algorithm is introduced. Moreover, it concludes the correspondence between the issue-volume and the default risk given the certain amount of the fiscal revenue used as the collateral.",

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author = "Liyan Han and Zhebin Yang and Chengli Zheng",

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journal = "Yingyong Jichu yu Gongcheng Kexue Xuebao/Journal of Basic Science and Engineering",

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AU - Han, Liyan

AU - Yang, Zhebin

AU - Zheng, Chengli

PY - 2004/12

Y1 - 2004/12

N2 - It is the key issue of the feasibility research for municipal bonds to determine the safe issue-volume according to a given credit-risk level. With the reference to KMV model, this paper develops a option-based credit risk model for municipal bonds, in which the concept of the implied distribution and its algorithm is introduced. Moreover, it concludes the correspondence between the issue-volume and the default risk given the certain amount of the fiscal revenue used as the collateral.

AB - It is the key issue of the feasibility research for municipal bonds to determine the safe issue-volume according to a given credit-risk level. With the reference to KMV model, this paper develops a option-based credit risk model for municipal bonds, in which the concept of the implied distribution and its algorithm is introduced. Moreover, it concludes the correspondence between the issue-volume and the default risk given the certain amount of the fiscal revenue used as the collateral.

KW - Credit risk

KW - Implied distribution

KW - Issue-volume

KW - Municipal bond

UR - https://www.scopus.com/pages/publications/17644385546

M3 - 文章

AN - SCOPUS:17644385546

SN - 1005-0930

SP - 207

EP - 211

JO - Yingyong Jichu yu Gongcheng Kexue Xuebao/Journal of Basic Science and Engineering

JF - Yingyong Jichu yu Gongcheng Kexue Xuebao/Journal of Basic Science and Engineering

IS - SUPPL.

ER -

Default risk model for municipal bonds based on implied distribution and option evaluation

Abstract

Keywords

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